De Haas, Thijs Michaél Modes (A.A. 2023/2024) Portfolio hedging against inflation: the investment problem of a US investor. Tesi di Laurea in International financial economics, Luiss Guido Carli, relatore Guido Traficante, pp. 81. [Master's Degree Thesis]

PDF (Full text) Restricted to Registered users only Download (3MB) | Request a copy

Abstract/Index

Literature review. Hypotheses development. Methodology and data. Estimation of hedging measure: inflation beta. Costs of excluding asset classes from inflation-hedged optimal portfolios. “regime-switching” inflation-hedging approach. Data. Empirical results. Stand-alone hedging capacity of asset classes. Costs of excluding asset classes from inflation-hedged portfolios: in-sample setting. Costs of excluding asset classes from inflation-hedged portfolios: out-of-sample setting. Analyzing portfolio performance under a “regime-switching” inflation-hedging approach.

References

Bibliografia: pp. 67-70.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair:	International financial economics
Thesis Supervisor:	Traficante, Guido
Thesis Co-Supervisor:	De Arcangelis, Giuseppe
Academic Year:	2023/2024
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	30 Jan 2025 08:59
Last Modified:	30 Jan 2025 09:01
URI:	https://tesi.luiss.it/id/eprint/41119

Downloads

Repository Staff Only

View Item